TY  - BOOK
AU  - Kreps,David M.
TI  - The Black-Scholes-Merton model as an idealization of discrete-time economies
T2  - Econometric Society monographs series
SN  - 9781108626903 (ebook)
AV  - HG106 .K74 2019
U1  - 332.63/228301 23
PY  - 2019///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Finance
KW  - Mathematical models
KW  - Securities
KW  - Valuation
N1  - Title from publisher's bibliographic system (viewed on 09 Sep 2019)
N2  - This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models. It specifically looks to answer the question: in what sense and to what extent does the famous Black-Scholes-Merton (BSM) continuous-time model of financial markets idealize more realistic discrete-time models of those markets? While it is well known that the BSM model is an idealization of discrete-time economies where the stock price process is driven by a binomial random walk, it is less known that the BSM model idealizes discrete-time economies whose stock price process is driven by more general random walks. Starting with the basic foundations of discrete-time and continuous-time models, David M. Kreps takes the reader through to this important insight with the goal of lowering the entry barrier for many mainstream financial economists, thus bringing less-technical readers to a better understanding of the connections between BSM and nearby discrete-economies
UR  - https://doi.org/10.1017/9781108626903
ER  -